Journal article
Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets
Quantitative finance, v 7(6), pp 651-667
01 Dec 2007
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the dynamic correlation structure between A-share and B-share stock returns based on three different measures of correlation coefficients. Testing the models by employing daily stock-return data for the period from 1996 through 2003, we reach the following empirical conclusions. First, the correlation coefficients between A-share and B-share stock returns are time varying. Second, the dynamic path of the correlation coefficients indicates that the correlation coefficients are significantly correlated with the trend factor. Third, there is a substantial spillover effect from the Asian crisis to Chinese stock-return dynamic correlations. Fourth, the evidence suggests that the time-varying correlations are significantly associated with excessive trading activity as measured by excessive trading volumes and high-low price differentials. Fifth, the correlation between A-share and B-share markets has increased since the relaxation of the restriction on B-share market investments by domestic investors.
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Details
- Title
- Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets
- Creators
- Thomas C. Chiang - Drexel UniversityLin Tan - California State Polytechnic UniversityHuimin Li - West Chester University
- Publication Details
- Quantitative finance, v 7(6), pp 651-667
- Publisher
- Routledge
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:000252238300007
- Scopus ID
- 2-s2.0-36749060141
- Other Identifier
- 991019167442504721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Business, Finance
- Economics
- Mathematics, Interdisciplinary Applications
- Social Sciences, Mathematical Methods